TradingServerEngine/trading.proto at master · rrsathe/TradingServerEngine · GitHub

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syntax = "proto3";

package trading;

service TradingEngine {
  rpc AddOrder (OrderRequest) returns (TradeResponse);
  rpc CancelOrder (CancelOrderRequest) returns (CancelOrderResponse);
  rpc ModifyOrder (ModifyOrderRequest) returns (TradeResponse);
  rpc GetOrderbook (OrderbookRequest) returns (OrderbookResponse);
}

enum OrderType {
  ORDER_TYPE_UNSPECIFIED = 0;
  GOOD_TILL_CANCEL = 1;
  FILL_AND_KILL = 2;
  FILL_OR_KILL = 3;
  GOOD_FOR_DAY = 4;
  MARKET = 5;
}

enum Side {
  SIDE_UNSPECIFIED = 0;
  BUY = 1;
  SELL = 2;
}

enum OrderStatus {
  ORDER_STATUS_UNSPECIFIED = 0;
  ACCEPTED = 1;
  REJECTED = 2;
  FILLED = 3;
  PARTIALLY_FILLED = 4;
  CANCELLED = 5;
  PENDING_NEW = 6;
  SUSPENDED = 7;
  TRIGGERED = 8;
}

message OrderRequest {
  uint64 order_id = 1;  // Changed from string to uint64
  string client_id = 2;
  Side side = 3;
  double price = 4;
  int64 quantity = 5;
  OrderType order_type = 6;
  double stop_price = 7;  // For stop orders
  int64 display_quantity = 8;  // For iceberg orders
  int64 timestamp = 9;  // Client timestamp
  string instrument_id = 10;
}

message TradeResponse {
  uint64 order_id = 1;  // Changed from string to uint64
  OrderStatus status = 2;
  string reject_reason = 3;
  repeated TradeInfo trades = 4;
  int64 timestamp = 5;  // Server timestamp
  double avg_fill_price = 6;
  int64 remaining_quantity = 7;
}

message CancelOrderRequest {
  uint64 order_id = 1;  // Changed from string to uint64
  string client_id = 2;
}

message ModifyOrderRequest {
  uint64 order_id = 1;  // Changed from string to uint64
  string client_id = 2;
  Side side = 3;
  double new_price = 4;
  int64 new_quantity = 5;
}

message TradeInfo {
  uint64 order_id = 1;  // Changed from string to uint64
  double price = 2;
  int64 quantity = 3;
  int64 timestamp = 4;
  Side side = 5;
  string counterparty_id = 6;
  string instrument_id = 7;
  string trade_id = 8;
  double fee = 9;
}

message CancelOrderResponse {
  bool success = 1;
  string reject_reason = 2;
}

message OrderbookRequest {
  string instrument_id = 1;
  int32 depth = 2;  // Number of levels to return
}

message LevelInfo {
  double price = 1;
  int64 quantity = 2;
  int32 order_count = 3;
  double total_value = 4;  // price * quantity
}

message OrderbookResponse {
  string instrument_id = 1;
  int64 timestamp = 2;
  repeated LevelInfo bids = 3;
  repeated LevelInfo asks = 4;
  double last_trade_price = 5;
  int64 last_trade_quantity = 6;
  double daily_volume = 7;
  double daily_turnover = 8;
}